Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0026
Annualized Std Dev 0.1142
Annualized Sharpe (Rf=0%) 0.0226

Row

Daily Return Statistics

Close
Observations 5585.0000
NAs 1.0000
Minimum -0.0878
Quartile 1 -0.0036
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0037
Maximum 0.0689
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0072
Skewness -0.2633
Kurtosis 12.5005

Downside Risk

Close
Semi Deviation 0.0052
Gain Deviation 0.0051
Loss Deviation 0.0055
Downside Deviation (MAR=210%) 0.0107
Downside Deviation (Rf=0%) 0.0051
Downside Deviation (0%) 0.0051
Maximum Drawdown 0.2450
Historical VaR (95%) -0.0103
Historical ES (95%) -0.0166
Modified VaR (95%) -0.0105
Modified ES (95%) -0.0152
From Trough To Depth Length To Trough Recovery
1999-03-11 2008-10-09 2012-09-10 -0.2450 3397 2410 987
2012-10-19 2013-08-15 2019-08-27 -0.2375 1723 205 1518
2020-02-11 2020-03-19 2020-11-25 -0.1830 202 27 175
2021-02-11 2021-03-01 NA -0.1121 27 12 NA
1999-01-05 1999-01-25 1999-02-01 -0.0610 19 14 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 3.8 0.4 -0.8 0.4 0 0 0 0 -0.5 0 0 0 3.3
2000 1 -1 0 2 1 1.4 0 0 0.5 0.9 0.9 -0.9 5.9
2001 0.6 0.5 1.1 -0.3 0.1 0.1 0.7 0.2 0 1 0.1 1.1 5.4
2002 0.4 1 0.2 0.1 -0.7 1 -0.3 0.1 0.2 0.7 -0.5 -0.1 2.1
2003 0.8 0.5 -0.3 0.1 -0.1 1 1.2 0.5 0.6 0.5 -0.4 0.1 4.4
2004 0 0.1 0.4 1.6 -0.3 0.2 1.1 0.8 0.2 0.7 0.3 0.1 5.1
2005 -0.1 0.5 0.1 0.2 0.6 0.1 0.2 0.1 -0.4 0.2 -1.3 0.5 0.7
2006 -0.8 -0.4 1 -0.7 -0.2 0.6 0.2 -0.4 -0.4 0.4 0.3 0.4 0.1
2007 0.1 0.1 0.2 0.4 0 0.3 -0.6 0.5 0.2 0.2 0.3 -0.2 1.4
2008 0.4 -0.5 0.7 1.4 -0.6 -0.4 -0.7 0.7 4.3 2.9 0.9 -0.7 8.7
2009 0.1 -0.7 2 -0.4 0.4 -0.2 0.8 -0.1 -0.5 0.7 0.1 0.8 3
2010 0.1 0.7 -0.2 -0.1 -0.7 -1.7 0.1 0.2 -0.1 0.3 -0.2 0.8 -0.7
2011 0.7 0.5 0.3 0.9 0.5 0.8 1.3 0.8 0.3 -0.3 0.2 0.7 7
2012 0.4 0.8 -0.6 -0.9 -1.5 -0.3 0.4 0.2 1.1 0.3 0.1 1.5 1.5
2013 0.8 0.7 1 1.3 0 1.1 -1.5 0.6 -0.1 0.4 -0.3 0.2 4.2
2014 0.2 -0.1 -0.1 1.2 -0.3 -0.6 0.2 0.1 -0.1 0.3 0.3 -0.1 1.1
2015 0.4 0.7 0.2 -1 -0.2 0.9 0.2 0.1 0.1 0.2 0.3 0.3 2.3
2016 0.1 0 0.2 -0.1 1 -0.4 0.2 0.4 -0.5 -0.1 -0.1 0.9 1.5
2017 -0.4 -0.7 0.4 0.3 0 -0.5 0.5 0.1 0.7 -0.3 0.1 0.3 0.4
2018 0 0.3 -0.7 1.6 -0.4 -0.9 0.1 0.5 0.6 -0.5 0.4 -1.5 -0.5
2019 -0.2 -0.3 0.5 0.9 0.3 0 0.5 0.3 0.3 0.3 -0.2 0.4 2.8
2020 0.2 -2.4 -1.3 0.4 0.1 0.3 1.5 0.1 -0.4 0.6 -0.2 0.9 -0.4
2021 1.2 -2.9 -0.1 NA NA NA NA NA NA NA NA NA -1.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  15.4 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  15.3 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  15.2 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  15.2 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  15.2 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  15.2 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart